Support Board
Date/Time: Tue, 22 Apr 2025 05:34:29 +0000
about the quality of data
View Count: 417
| [2023-02-26 17:52:06] |
| RuBYGlyPh - Posts: 10 |
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Hi. I've been on a search for high-quality, highly accurate live market data for transactions(trades/ticks). Sierra/Denali was regularly recommended by a lot of people. Currently, I am on a 15-day trial for Sierra, with no subscription to CME. While going through intraday data, I've noticed that instead of recording each trade tick, sometimes Sierra records a lot of trades in one line. For example, this is from the raw data for NQH23-CME: Date, Time, Open, High, Low, Last, Volume, NumberOfTrades, BidVolume, AskVolume 2023/2/22, 23:00:00, 12176.25, 12179.00, 12174.00, 12178.50, 139, 109, 54, 85 2023/2/22, 23:00:01.012, 12177.50, 12177.75, 12174.75, 12174.75, 18, 17, 14, 4 2023/2/22, 23:00:02.034, 12175.50, 12177.00, 12174.50, 12177.00, 36, 27, 10, 26 Here, each line records 109, 17, and 27 transactions respectively. Ideally, one line should only record one transaction. There are some lines that do indeed record only one transaction, but more often than not, each line has several trades within it. This is my question: Is this because I am using a free/trial version of the product? If I were to subscribe to both SierraChart's and CME's paid live data service, will the quality of data be substantially better, and will I get updates for each and every transaction? Thanks! Edit: I do not need accuracy on past market data. I am only looking for high-speed, highly accurate LIVE data feed. The reason I used past data as a reference is because currently, I do not have access to live data feed, as I do not want to pay before I know what I'm getting. Date Time Of Last Edit: 2023-02-26 17:54:50
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| [2023-02-26 18:40:31] |
| Sierra_Chart Engineering - Posts: 19290 |
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Set Sierra Chart to a Tick by Tick Data Configuration. Follow the instructions here to do this: Tick by Tick Data Configuration You can now use the Delayed Exchange Data Feed: Delayed Exchange Data Feed Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-02-26 18:40:53
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| [2023-02-27 00:11:07] |
| RuBYGlyPh - Posts: 10 |
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thanks! I've successfully downloaded per tick data. One more question though. Please take a look at this line: 2023/2/8, 14:38:00.031, 12718.00, 12718.25, 12718.00, 12718.00, 1, 1, 1, 0 although this is only one transaction, the High value is higher than the rest - how can this happen? If it's only one trade, shouldn't all OHLC values be identical? In this case, is the close price the actual traded price? How should I interpret this line? |
| [2023-02-27 08:46:48] |
| Sierra_Chart Engineering - Posts: 19290 |
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Refer to: Exporting and Importing Intraday Data Files: Format of Exported Data Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2023-02-27 08:46:52
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